Lets assume that I have 2 activities with a dolphin instance open in each.
Activity 1):
There is a folder link on my desktop. Once I click it, the folder opens as a new tab in Activity 2)
Why does it not stay within Activity 1)? How can I force it to behave this way?

That's weird. I've never seen that behavior with Dolphin. One thought would have been if there were a setting which suggested to open stuff in the same dolphin window and it just getting confused about which one to open stuff in; but I'm unaware of such a setting.

More details about your system will be useful, including Distro, Plasma, Dolphin and Qt versions.
Also, did the behavior change recently (possibly resulting from some upgrade), or has it always been like this in your experience?

That sounds weird. Which exact Plasma version and distribution is this about?

Glad to hear that this is not normal. It has always been like this.

I'm on Manjaro stable,
Dolphin 19.12.0
KDE Plasma Version: 5.17.4
KDE Frameworks Version: 5.65.0
Qt Version: 5.14.0

I also have two Activities, I have never seen this behavior here.

It seems as if a new browser tab is opened in the most recently started instance of dolphin, no matter if it is in another activity.
But even if the most recently started dolphin is in activity 1, opening a folder from the desktop of activity 1 will open it in activity 2
Starting with an empty desktop session did not help unfortunately. I also tried switching back to "use common properties for all folders", but it did not help either.

I wonder if this is related to only Manjaro?

I have 2 Activitites.
second activity has running Dolphin with tabs on it.
I go to first activity(no Dolphin running here) and double click a folder(which belong only to this activity) and it opens in second activity.
To fix this you need to go to application and open a new Dolphin window here and only then you need to open the folders from Desktop. If it doesn't work the fist time you need try closing and opening Dolphin several time in the first activity. The reason it doesn't work the first time is some folders remember where they were opened as a tab so they like to go there first My guess of course.